A Small-Cap Screen Combining Amplitude, Profitability, and Capital Strength

Summary

The proposed Chinese equity screen selects stocks with daily price movement above one percent, market capitalization below 10 billion yuan, and positive net profit, then ranks candidates by a measure described as capital strength. The text presents the filters as ways to find volatile smaller companies with profits and strong investor interest. It also provides formula and Python examples for implementing the selection logic.

The author cautions that the capital-strength measure may be flawed and that the screen relies on too few inputs. Suggested refinements include adding financial and technical measures and considering industry differences. The document provides no backtest, benchmark comparison, or evidence that the combination earns excess returns. Its code’s ranking calculation is not explained in enough detail to establish that it correctly measures the stated capital-strength concept, so implementation and validation would be needed before drawing conclusions.

Key ideas

• The screen combines daily movement, a market-cap ceiling, positive profit, and a capital-strength ranking.
• The rationale links smaller profitable firms and strong investor interest with potential opportunities.
• The document warns that the flow measure may be unreliable and the selection logic is narrow.
• No backtest or evidence of predictive performance is provided.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.